Hold Shift until the game menu displays that Shift had been pressed (may take a little depending on workload), then hit X and you should see a small popup. With Autosave on, you may also just kill the .exe via taskmanager.

I am running a test AI verses AI and am having trouble getting it to stop. How do I get Shift-X to take effect.

It works... believe me... I have run hundreds of AI vs. AI scenarios (including may many many grand campaigns)... you just have to be patient because the command isn't instantaneous (i.e. after you see the confirmation it takes till the turn end for it to kick in)...